Cycles OpenEXR output way too dark when imported into After Effects
When you export as EXR you are creating an image that is in in a linear scale. In other words you are bypassing the transformations set by the color management in blender. You would need to interpret the exr image in after effects so they it understands that is dealing with linear data.

As an alternative, do the compositing in blender directly. Import your EXR files and background and composite them together, blender's compositor always works using linear data.